How to use a Keras RNN model to forecast for future dates or events?

Question

Here is my code fore training the complete model and saving it:

num_units = 2
activation_function = \'sigmoid\'
optimizer = \'adam\'
loss_function = \'mea         


        

Answer 1

Well, you need a stateful=True model, so you can feed it one prediction after another to get the next and keep the model thinking that each input is not a new sequence, but a sequel to the previous.

Fixing the code and training

I see in the code that there is an attempt to make your y be a shifte x (a good option for predicting the next steps). But there is also a big problem in the preprocessing here:

training_set = df_train.values
training_set = min_max_scaler.fit_transform(training_set)

x_train = training_set[0:len(training_set)-1]
y_train = training_set[1:len(training_set)]
x_train = np.reshape(x_train, (len(x_train), 1, 1))

Data for LSTM layers must be shaped as (number_of_sequences, number_of_steps,features).

So, you're clearly creating sequences of 1 step only, meaning that your LSTM is not learning sequences at all. (There is no sequence with only one step).

Assuming that your data is a single unique sequence with 1 feature, it should definitely be shaped as (1, len(x_train), 1).

Naturally, y_train should also have the same shape.

This, in its turn, will require that your LSTM layers be return_sequences=True - The only way to make y have a length in steps. Also, for having a good prediction, you may need a more complex model (because now it will be trully learning).

This done, you train your model until you get a satisfactory result.

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Predicting the future

For predicting the future, you will need stateful=True LSTM layers.

Before anything, you reset the model's states: model.reset_states() - Necessary every time you're inputting a new sequence into a stateful model.

Then, first you predict the entire X_train (this is needed for the model to understand at which point of the sequence it is, in technical words: to create a state).

predictions = model.predict(`X_train`) #this creates states

And finally you create a loop where you start with the last step of the previous prediction:

future = []
currentStep = predictions[:,-1:,:] #last step from the previous prediction

for i in range(future_pred_count):
    currentStep = model.predict(currentStep) #get the next step
    future.append(currentStep) #store the future steps    

#after processing a sequence, reset the states for safety
model.reset_states()

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Example

This code does this with a 2-feature sequence, a shifted future step prediction, and a method that is a little different from this answer, but based on the same principle.

I created two models (one stateful=False, for training without needing to reset states every time - never forget to reset states when you're starting a new sequence - and the other stateful=True, copying the weights from the trained model, for predicting the future)

https://github.com/danmoller/TestRepo/blob/master/TestBookLSTM.ipynb